Ever wondered where the red rabbit eyes are from? Built-in flash gives them for free... Apart from that Google will reveal tons of pages about external flash and how it is superior to this tiny thingy in your cam.
If there're no differences between a built-in flash and an external one, there's no point to even invent one in the first place. As the others have suggested some differences, other main differences is that u can use an external one off the camera to create different lighting effects as a master/slave and the ability to use bounce lighting.
IMO, built-in flashes are kind of harsh and not versatile. The only thing gd is that during a quick snapshot where flash is needed, u can just use the built-in flash without having to take out the external one and mounting it to the camera.